A note on prediction and interpolation errors in time series

Abstract:

In this note we analyze the relationship between one-step ahead prediction errors and interpolation errors in time series. We obtain an expression of the prediction errors in terms of the interpolation errors and then we show that minimizing the sum of squaresIn this note we analyze the relationship between one-step ahead prediction errors and interpolation errors in time series. We obtain an expression of the prediction errors in terms of the interpolation errors and then we show that minimizing the sum of squares of the one step-ahead standardized prediction errors is equivalent to minimizing the sum of squares of standardized interpolation errors.[+][-]